On the Gerber-Shiu function for a risk model with multi-layer dividend strategy

被引：3

作者：

Bratiichuk, Mykola ^{[1
]}

机构：

[1] Silesian Tech Univ, Inst Math, PL-44100 Gliwice, Poland

来源：

STATISTICS & PROBABILITY LETTERS | 2012年 / 82卷 / 03期

关键词：

Risk process; Gerber-Shiu function; Ruin probability; Boundary functionals; BOUNDARY PROBLEMS; POISSON PROCESS;

D O I：

10.1016/j.spl.2011.11.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we present a new approach to the study of the Gerber-Shiu discounted function for the risk model with multi-layer dividend strategy. The formulae for the Gerber-Shiu discounted function and ruin probability were obtained and the special case where the claim size distribution is a combination of exponentials is considered in detail. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：496 / 504

页数：9

共 50 条

[31] Gerber-Shiu analysis with a generalized penalty function
Cheung, Eric C. K.
Landriault, David
Willmot, Gordon E.
Woo, Jae-Kyung
[J]. SCANDINAVIAN ACTUARIAL JOURNAL, 2010, (03) : 185 - 199
[32] On a general class of renewal risk process: Analysis of the Gerber-Shiu function
Li, SM
Garrido, J
[J]. ADVANCES IN APPLIED PROBABILITY, 2005, 37 (03) : 836 - 856
[33] On the Gerber-Shiu function with random discount rate
Wang, Houchun
Ling, Nengxiang
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (01) : 210 - 220
[34] ON THE GERBER-SHIU DISCOUNTED PENALTY FUNCTION FOR THE ORDINARY RENEWAL RISK MODEL WITH CONSTANT INTEREST
Wu, Rong
Lu, Yuhua
Fang, Ying
[J]. NORTH AMERICAN ACTUARIAL JOURNAL, 2007, 11 (02) : 119 - 134
[35] A GERBER-SHIU DISCOUNTED PENALTY FUNCTION IN THE STATIONARY RENEWAL RISK PROCESS
Tang Ling
[J]. 3RD INTERNATIONAL SYMPOSIUM ON INFORMATION ENGINEERING AND ELECTRONIC COMMERCE (IEEC 2011), PROCEEDINGS, 2011, : 198 - 201
[36] The Gerber-Shiu discounted penalty function for a compound binomial risk model with by-claims
Jin-zhu Li
Rong Wu
[J]. Acta Mathematicae Applicatae Sinica, English Series, 2015, 31 : 181 - 190
[37] Approximations for the Gerber-Shiu expected discounted penalty function in the compound Poisson risk model
Pitts, Susan M.
Politis, Konstadinos
[J]. ADVANCES IN APPLIED PROBABILITY, 2007, 39 (02) : 385 - 406
[38] The Gerber-Shiu Discounted Penalty Function for a Compound Binomial Risk Model with By-claims
Jin-zhu LI
Rong WU
[J]. Acta Mathematicae Applicatae Sinica, 2015, 31 (01) : 181 - 190
[39] Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
Wang, Yunyun
Yu, Wenguang
Huang, Yujuan
[J]. DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2019, 2019
[40] The Gerber-Shiu discounted penalty function for the credit risk model with dependent rates of interest
Peng, Dan
Liu, Zaiming
[J]. PROCEEDINGS OF THE 1ST INTERNATIONAL CONFERENCE ON SUSTAINABLE CONSTRUCTION & RISK MANAGEMENT, VOLS I AND II, 2010, : 534 - 538

← 1 2 3 4 5 →